Markov Switching Processes and Financial Applications

马尔可夫转换过程和金融应用

• 批准号: RGPIN-2018-04891
• 负责人: Garcia, René
• 金额: $ 2.62万
• 依托单位: Université de Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=743917
• 关键词: Markov; Switching; Processes; Financial; Applications

Since the seminal paper of Hamilton (1989), regime switching models have been used widely in diverse fields of finance. These models can capture abrupt and sudden changes often observed in the behavior of financial markets. Currency crises, stock market bubbles, or sharp changes in the volatility of asset prices or exchange rates are examples of such phenomena. Means and volatilities of financial returns can change between regimes, as well as the correlations between returns of several assets. In this project we intend to use such models in asset allocation and asset pricing. We also want to develop easy to implement tests for the number of regimes.In asset allocation, regime switching models of asset returns are able, for example, to capture a higher correlation structure in bear periods or heteroscedasticity through distinct volatilities in different regimes. Our interest is to apply this class of models in a general investor's problem with finite horizon, in which the agent optimally chooses portfolio allocation and (possibly) consumption with stochastic differential utility preferences. The goal is to develop approximate analytical solutions for the optimal portfolio and consumption in a multiregime economy. In asset pricing, Bonomo, Garcia, Meddahi et Tedongap (2011) have modeled long-run risks in fundamentals with regimes to price assets in equilibrium with disappointment aversion recursive utility. The Markov structure leads to closed-form expressions for many statistics of interest such as means and volatilities of returns, and coefficients of predictability regressions. Our new contribution will extend such model to capture the term structure of equity returns. Traditional models have a hard time explaining the fact that short-term equity claims, or dividend strips, have higher average returns and Sharpe ratios than the aggregate stock market (see van Binsbergen and Koijen, 2016).Our third line of investigation aims at developing a test to determine the number of regimes in a given set of data. The available tests (Garcia, 1998; Carrasco et al., 2014) are applicable to testing a two-regime model against a linear model. Their extension to higher numbers of regimes appears very challenging. We intend to examine thesize and power properties of two simple regression-based tests used in Garcia and Perron (1996).

自从哈密尔顿(1989)的开创性论文以来，制度转换模型在金融的各个领域得到了广泛的应用。这些模型可以捕捉到金融市场行为中经常观察到的突然变化。货币危机、股市泡沫或资产价格或汇率波动的剧烈变化都是这种现象的例子。金融回报的均值和波动性可以在不同的制度之间改变，也可以改变几种资产的回报之间的相关性。在这个项目中，我们打算在资产配置和资产定价中使用这些模型。我们还希望开发易于实施的制度数量测试。在资产配置中，资产收益率的制度转换模型能够通过不同制度下的不同波动来捕捉熊期较高的相关性结构或异方差。我们的兴趣是将这类模型应用于有限期限的一般投资者问题，在该问题中，代理人最优地选择具有随机差分效用偏好的投资组合分配和(可能)消费。其目标是为多制度经济中的最优投资组合和最优消费开发近似解析解。在资产定价方面，Bonomo，Garcia，Meddahi et Tedongap(2011)对基本面的长期风险进行了建模，建立了资产定价与失望厌恶递归效用均衡的机制。马尔可夫结构导致了许多感兴趣的统计量的闭合形式的表达，例如收益的平均值和波动性，以及可预测回归系数。我们的新贡献将扩展这种模型，以捕捉股权回报的期限结构。传统模型很难解释这样一个事实，即短期股权债权或分红带比整体股市具有更高的平均回报率和夏普比率(参见van Binsbergen和Koijen，2016)。我们的第三条调查线旨在开发一种测试，以确定给定数据集中的制度数量。可用的测试(Garcia，1998；Carrasco等人，2014)适用于针对线性模型测试两个制度模型。将其扩展到更多的政权似乎非常具有挑战性。我们打算检验在Garcia和Perron(1996)中使用的两个简单的基于回归的检验的大小和功率性质。